Wednesday, March 10, 2010

** UPDATE - ITMN: FDA Panel Recommends Approval


Original Post: CLICK HERE.

ITMN is trading 38.06, up $14.76 - but really up $23 or 150%+. The IV30™ is down from ~210 to 72 or 65%. The LIVEVOL™ Pro Summary is below.

The news was obviously good:

Their drug was recommended for approval to the FDA by the panel. This is the second huge mover in bio-tech in a row - the other was MDVN (blog HERE). In this case, though buying the straddle and selling the wings was a winner - the real winner was just buying the wings. i.e. it went counter to the "standard" approach to trading bio-techs (if such a thing exists).

The Options Montage from the old post is included below for reference:

The company has traded over 42,000 options in the first 20 min today on total daily average option volume of 16,343. The order flow is nothing exciting in terms of forward looking opportunities - they are essentially closing short puts. Note the prices below - all closing for pennies. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Charts Tab (6 months) is below (click to enlarge). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference. You can see the stock pop and vol drop.

I've included the Skew Tab snap as well. The shape is starting to look like a normal skew - what's sometimes interesting to see is the actual process of price discovery. The kinks in the skew are evidence that discovery hasn't yet completed. This is common when stocks move huge an vol events. I'll try to post an updated skew later which should be smoother.

Skew Legend:
Red - Front month
Yellow - Second month
Green - Third month
Blue - Fourth month

This is trade analysis, not a recommendation.

Legal Stuff:

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